The Six Wives of Henry VIII, by Alison Weir
I cannot recommend Alison Weir with any more vigor. This is a great place to start. If Mantel elevates fiction to a religious experience, Weir elevates history to a fine art. And her footnotes are a treat, second only to those of science writer Mary Roach.
I adore Wolf Hall; if you do too, this article is for you. Buy the books for deserving others.
(Or for yourself.)